Search found 8 matches
- Mon Jan 16, 2023 10:58 pm
- Forum: Estimation
- Topic: How to obtain percentage of correct signs and PT statistic after forecast?
- Replies: 3
- Views: 3277
Re: How to obtain percentage of correct signs and PT statistic after forecast?
Okay. Is there any way to view forecasted values as a table?
- Mon Jan 16, 2023 5:15 pm
- Forum: Estimation
- Topic: How to obtain the unconditional distribution graph?
- Replies: 0
- Views: 8925
How to obtain the unconditional distribution graph?
I would like to plot the unconditional distribution of a series over the sample period. I found this reported in a research paper and would like to report the same. If I am not clear in my request, here is the description the author gave: In Figs. 4–6, we also plot the unconditional distribution of ...
- Mon Jan 16, 2023 5:10 pm
- Forum: Estimation
- Topic: How to obtain percentage of correct signs and PT statistic after forecast?
- Replies: 3
- Views: 3277
How to obtain percentage of correct signs and PT statistic after forecast?
The proportion of correct direction change predictions. Additionally, we employ the Pesaran and Timmerman (1992 1994), hereafter PT, test for market timing ability. Is there any way to obtain the value of these two measures, percentage of correct directions and PT statistics after forecasting? Than...
- Mon Jan 16, 2023 4:46 pm
- Forum: Estimation
- Topic: Specification testing for Markov switching model
- Replies: 0
- Views: 9340
Specification testing for Markov switching model
Ideally, one would like to test the null hypothesis that m 5m and s 5 s . The implication of finding this would be that the Markov switching model had been unable to separate out the data into two distinct regimes; in other words, that it is possible to restrict the data to be as drawn from only on...
- Sat Apr 30, 2022 11:31 pm
- Forum: Estimation
- Topic: Dependent variable has no variance - Logit regression
- Replies: 7
- Views: 4083
Re: Dependent variable has no variance - Logit regression
Hi, I just played around with the variables and tried making some variables as dummy variables (loan to value % and loan term(short term & long term)) and left the rest 2 variables that were in % as quantitative. In addition, I also generated a series and named it y=default status. I m not sure ...
- Sat Apr 30, 2022 5:40 pm
- Forum: Estimation
- Topic: Dependent variable has no variance - Logit regression
- Replies: 7
- Views: 4083
Re: Dependent variable has no variance - Logit regression
Hi,
But I have chosen a period for the data sample - 2 years. So, wouldn't following this approach negate that. 8 have another hypothesis in the same study that I tested with the 2 years sample.
But I have chosen a period for the data sample - 2 years. So, wouldn't following this approach negate that. 8 have another hypothesis in the same study that I tested with the 2 years sample.
- Sat Apr 30, 2022 5:16 pm
- Forum: Estimation
- Topic: Dependent variable has no variance - Logit regression
- Replies: 7
- Views: 4083
Re: Dependent variable has no variance - Logit regression
Hi,
Thank you for your response. I cant reduce the size, 115 positive cases are distributed across my current sample size. In fact, the first positive case of y=1 is at 11000th observation.
Thank you for your response. I cant reduce the size, 115 positive cases are distributed across my current sample size. In fact, the first positive case of y=1 is at 11000th observation.
- Sat Apr 30, 2022 3:30 pm
- Forum: Estimation
- Topic: Dependent variable has no variance - Logit regression
- Replies: 7
- Views: 4083
Dependent variable has no variance - Logit regression
Hello, I am running a logit regression with over 90000 observations. The dependent variable is a binary variable that takes the value 1 or 0. The sample has only 115 positive cases (dependent variable = 1). When I estimated the equation, it gave me a "Dependent variable has no variance". S...